addRule: Adds rule or variable to strategy

In Vitalic57/stratbuilder2pub: It Provides Tools to Create and Backtest Financial Models

Description

Conditions will be calculated and then action will be done according to type. osFun arg is needed for definition of how much money you want to invest in enter type rules.

Usage

addRule(this, condition, as, args = list(), type, side, oco = "base",
  osFun = sameMoneyOs, osFun_args = alist(amount = getMoney(this)),
  pathwise = FALSE, money, money_const, betas, betas_const, by_money = TRUE,
  ...)

## S3 method for class 'modelStrategy'
addRule(this, condition = TRUE, as, args = list(),
  type = "enter", side = 1, oco, osFun = sameMoneyOs,
  osFun_args = alist(amount = getMoney(this)), pathwise = FALSE, money,
  money_const, betas, betas_const, by_money = TRUE, ...)

Arguments

this	modelStrategy
condition	expression, it must use name of indicators and local args
as	character, local name of rule
args	list, arguments that can be used in condition
type	character, type must be enter or exit
side	numeric, 1 or -1
oco	character, environment of rule
osFun	function that calculates how many units of spread should be bought or sold
osFun_args	alist of args of osFun function
pathwise	logical, if it is FALSE, then calculation of rules and variables will be performed on the tables once per computation of coefficients, otherwise calculation of rules and variables will be performed on the scalars on each iteration
money	numeric / expression, how much money should be in position after execution of rule. Position manager will be added for correcting positions at every step
money_const	numeric / expression, the same as money, but without Position manager
betas	numeric / expression, number of instruments to buy and sell, position manager will be added
betas_const	numeric / expression, the same as betas, but without position manager
by_money	logical, if it is TRUE then expression in betas argument will be interpreted as money positions in instruments, else positions will be in pieces
...	params

Examples

## Not run: 
  addRule(this, as = 'bb_dn_up',
          condition = (Lag(spread,1) < Lag(bb[,'dn'],1)) &
                      (spread > bb[,'dn']) &
                      (spread < bb[,mavg']) &
                      (abs(spread - bb[,'mavg'])/spread  > n) ,
          type = 'enter',
          args = list(n = 0.005),
          side = 1,
          oco = 'long',
          osFun = sameMoneyOs,
          osFun_args = alist(amount = 5000000))
          
  addRule(this, as = 'bb_dn_up1',
          condition = (Lag(spread < bb[,'dn'],1))[iii,] &
                      (spread > bb[,'dn'])[iii,] &
                      (spread < bb[,mavg'])[iii,] &
                      (abs(spread - bb[,'mavg'])/spread  > n)[iii,] ,
          type = 'enter',
          pathwise = TRUE,
          args = list(n = 0.005),
          side = 1,
          oco = 'long',
          osFun = sameMoneyOs,
          osFun_args = alist(amount = 5000000))

## End(Not run)

Vitalic57/stratbuilder2pub documentation built on Dec. 18, 2019, 2:56 a.m.